Abstract
In this chapter we draw our attention to the market models. We start by briefly discussing short rate models, with the goal of seeing where they fit in the story of interest rate modelling. We then make a natural transition from the more general short rate models to the Heath-Jarrow-Morton framework, then to the definition of the LIBOR Market Model (LMM).
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© 2015 Christian Crispoldi, Gérald Wigger and Peter Larkin
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Crispoldi, C., Wigger, G., Larkin, P. (2015). LIBOR Market Model. In: SABR and SABR LIBOR Market Models in Practice. Applied Quantitative Finance series. Palgrave Macmillan, London. https://doi.org/10.1057/9781137378644_6
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DOI: https://doi.org/10.1057/9781137378644_6
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-57177-2
Online ISBN: 978-1-137-37864-4
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)